Morgan Stanley Structured Credit Insights, 2nd Edition Summary:
Morgan Stanley | 2006 | ISBN: N/A | 560 pages | PDF | 3,7 MB
The Structured Credit Insights book, now in its second printing, contains 78chapters on tranched credit instruments, markets, and investment strategies,many of which come from our Credit Derivatives Insights and CDO researchpublications. Section A, entitled "Getting Started," contains primers on bothbasic and state-of-the-art cash and synthetic CDOs, the tranched indices,first-to-default baskets, an intuitive guide to correlation, and common sensitivitymeasures. The remaining sections focus on valuation and sensitivity, investmentstrategies, market themes, performance, and cash and synthetic convergencethemes. There is also a glossary for over 120 terms used in the market.The Second Edition – What’s New?The second edition contains 34 new and numerous revised chapters focusedon several topics. Recent default events and significant repricing of trancherelationships motivated chapters on valuation using both risk-neutral and realworldtechniques. Continued growth in liquidity and breadth in the index tranchemarket resulted in the inclusion of material on investment strategies and relativevalue. A maturing market resulted in reports on new types of structures, includingforward credit risk, managed portfolios and super senior tranches. Importantregulatory capital and accounting policy shifts encouraged material on secularshifts in investment style. Synthetic innovation in the structured finance spaceprompted material on hybrid structured finance CDOs, and a booming leveragedloan market motivated the study of risks in the CLO market. We hope MorganStanley clients find this book useful, and we welcome any feedback so that we canimprove future editions.
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